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On Moment Conditions For The Girsanov Theorem, See Keong Lee

LSU Doctoral Dissertations

In this dissertation, the well-known Girsanov Theorem will be proved under a set of moment conditions on exponential processes. Our conditions are motivated by the desire to avoid using the local martingale theory in the proof of the Girsanov Theorem. Namely, we will only use the martingale theory to prove the Girsanov Theorem. Many sufficient conditions for the validity of the Girsanov Theorem have been found since the publication of the result by Girsanov in 1960. We will compare our conditions with some of these conditions. As an application of the Girsanov Theorem, we will show the nonexistence of an …